GFM is the abbreviation of Generalized Factor Model. This toolbox is the implementation of Generalized factor model for ultra-high dimensional variables with mixed types" . If you require to use this toolbox in your research, please cite the paper.
- Wei Liu, Huazhen Lin, Shurong Zheng & Jin Liu (2021) . Generalized factor model for ultra-high dimensional mixed data. Journal of the American Statistics Association (Online). Paper available at: PDF and Matlab Toolbox .
We develop a two-step iterative procedure so that each update can be carried out parallelly across all variables and samples. The fast computation version is provided for ultra-high data, see gfm_example.m file.
Author: Liu Wei Maintainer: Liu Wei weiliu@smail.swufe.edu.cn Date: May. 25, 2019 Copyright (c) 2019, Liu Wei All rights reserved.